Abstract

A standard method for solving
the symmetric definite generalized eigenvalue problem
$Ax = \lambda Bx$,
where $A$ is symmetric and $B$ is symmetric positive definite,
is to compute a Cholesky factorization $B = LL^T$
(optionally with complete pivoting)
and solve the equivalent
standard symmetric eigenvalue problem $C y = \l y$ where $C = L^{-1} A L^{-T}$.
Provided that a stable eigensolver is used,
standard error analysis
says that the computed eigenvalues are exact for $A+\dA$ and $B+\dB$ with
$\max( \normt{\dA}/\normt{A}, \normt{\dB}/\normt{B} )$
bounded by a multiple of $\kappa_2(B)u$,
where $u$ is the unit roundoff.
We take the Jacobi method as the eigensolver
and give a detailed error analysis that yields
backward error bounds potentially much smaller than
$\kappa_2(B)u$.
To show the practical utility of our bounds we describe a vibration problem
from structural engineering in which $B$ is ill conditioned yet
the error bounds are small.
We show how, in cases of instability,
iterative refinement based on Newton's method
can be used to produce eigenpairs with small backward errors.
Our analysis and experiments also give insight into the popular Cholesky--QR
method, in which the QR method is used as the eigensolver.
We argue that it is desirable to augment current implementations
of this method with pivoting in the Cholesky factorization.